Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative

Donald Andrews () and Werner Ploberger

Econometrica, 1994, vol. 62, issue 6, 1383-1414

Abstract: This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of structural change with unknown changepoint. The testing problem considered is nonstandard and the classical asymptotic optimality results for the Lagrange multiplier, Wald, and likelihood ratio do not apply. A weighted average power criterion is used here to generate optimal tests. This criterion is similar to that used by A. Wald (1943) to obtain the classical asymptotic optimality properties of Wald tests in 'regular' testing problems. Copyright 1994 by The Econometric Society.

Date: 1994
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Related works:
Working Paper: Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative (1992)
Software Item: APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test
Software Item: APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood
Software Item: REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values
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